System and method for coordinating automated and semi-automated trading tools

ABSTRACT

The present embodiments include methods, systems, and computer program products that provide tools for use in any type of electronic trading environment. In one aspect, leaning manager includes software that can be implemented on any type of computer device for tracking and/or coordinating the buying and selling of available market quantities by multiple automated or semi-automated trading tools. For instance, if more than one automated or semi-automated trading tool is leaning on the same tradeable object then the leaning manager may track and/or coordinate such action. The trading tools can use the tracked information and/or the allocated quantities and their prices to enhance their trading strategies.

FIELD OF INVENTION

The present embodiments relate to a computer-based method and system foruse in electronic trading, and in particular, for use in coordinatingtrading tools that trade any product with a quantity and/or price.

BACKGROUND

Trading methods have evolved from a manually intensive process to atechnology enabled, electronic platform. Advances in technology arehaving an increasingly large and broad impact on trading and the way inwhich exchanges conduct business. What was previously seen as just asupplement to the traditional pit trading, electronic trading platformscontinue to increase in importance and popularity. The advent ofelectronic trading has meant that a customer can be in virtually directcontact with the market, from practically anywhere in the world,performing near real-time transactions.

To access a market to trade in, buyers and sellers (or traders) log ontoan electronic exchange through their user terminals, which are connectedto the exchange over a network. Examples of a user terminal include apersonal computer, laptop, or workstation. The user terminal mayimplement a Microsoft Windows-type operating system to provide agraphical user interface based on windowed regions on the user terminalscreen and an input device such as a mouse and keyboard. Certainly, theuser terminal may include other types of modem computing devices, inputdevices and might use other types of operating systems such as aMacintosh or Unix-type operating system to trade in a market.

Sometimes traders use software running on the user terminals to createspecialized interactive trading screens. Oftentimes, the interactivetrading screens enable people to manually enter orders into the market,obtain market quotes, and monitor positions. Of course, the range andquality of features available varies according to the specific softwareapplication being run.

In addition to, or in place of, manual-style trading, traders might useautomated or semi-automated software to assist them in executing theirtrading strategies. As such, there are all sorts of software toolsavailable that traders can use to automate or semi-automate the way thatthey trade. In fact, Trading Technologies International, Inc. ofChicago, Ill. provides automated or semi-automated trading tools that atrader might use to enhance their trading. For example, the TTAutospreader and the TT Autotrader are examples of software toolsprovided by Trading Technologies International, Inc. that automateaspects of trading such as automated order management and automaticexecution of basic-to-complex trading strategies, just to name a few.Trading tools can be flexible, and therefore, they may be open to thetrader for programming, or they may exist in a black-box form. Tradersmay simultaneously use one or more different types of automated orsemi-automated trading tools. In addition, traders may have more thanone session running a particular trading tool.

There are many instances when an automated or semi-automated tradingtool is watching or leaning on a tradeable object's available quantitiesand prices, and plan to buy or sell them as soon as a certain eventoccurs. In other words, the trading tool may use this “leaned on” marketinformation in implementing its trading strategy. Once the event occurs,for example, the trading tool might then send an order to buy or sellthe “leaned on” tradeable object to complete a particular transaction.However, unbeknownst to the trading tool, another trading tool might beinterested in the same quantity for the same tradeable object. When bothevents occur such that both of the trading tools act on the same “leanedon” tradeable object, a conflict may exist. This conflict may risk,among other things, one or more incomplete transactions and/or apotential unexpected loss of money for the trader.

In electronic trading systems, such as the one described above or insome other type of computer-based trading system, it is desirable for atrader to have tools in a software, hardware, or software/hardware formthat can assist the trader in executing his or her trading strategywhile reducing the risks associated with running multiple sessions ofautomated or semi-automated trading tools.

BRIEF DESCRIPTION OF THE DRAWINGS

Many aspects of the present embodiments may be better understood withreference to the following drawings. The components in the drawings arenot necessarily to scale, emphasis instead being placed uponillustrating example embodiments.

FIG. 1 shows an example system diagram that illustrates a computerdevice used to implement a preferred embodiment, and in particular,shows a leaning manager that performs the coordination of buying andselling tradeable objects amongst multiple automated or semi-automatedtrading tool sessions;

FIG. 2 shows an example table used to store market information for atradeable object and used in allocating market quantities to multipleautomated or semi-automated trading tools;

FIG. 3 shows an example table used to store requests from one or moreautomated or semi-automated trading tools for quantity for a tradeableobject; and

FIGS. 4-9 show an example implementation of a preferred embodiment, andin particular, show two sessions that are performing spread trading.

DETAILED DESCRIPTION

I. Overview

The present embodiments include methods, systems, and computer programproducts that provide tools for use in electronic trading, and they maybe put to advantageous use in any type of electronic tradingenvironment. By using the present embodiments, for example, the riskassociated with leaning on a tradeable object that has been alreadyaccounted for may be reduced. In other words, the preferred embodimentsmay prevent automated or semi-automated trading tools from leaning on atradeable object that might soon become “oversold” or “overbought.”

As mentioned in the background section, there are many scenarios when atrading strategy may be watching or leaning on a tradeable object'savailable quantities and prices, and plan to buy or sell them as soon asa particular event occurs. Unfortunately, conventional trading tools areprogrammed to look only at the current market conditions and implementtheir trading strategies accordingly. As such, the conventional tradingtools do not take into account the other trading tool's actions, whichmay result, among other things, in leaning on what could become an“oversold” or “overbought” tradeable object.

According to the preferred embodiments, a leaning manager is provided toinclude a software module that can be implemented on any type ofcomputer device for coordinating the use of market information “leanedon” by multiple automated and semi-automated trading tool sessions. Theleaning manager may include a stand-alone software module that workswith an existing trading tool, or the leaning manager may be integratedinto the software application of the trading tool itself. The leaningmanager or portions thereof, may also be installed at gateways or otherintermediary devices to perform the coordination over a broad range ofuser terminals and traders, if so desired.

In accordance with the preferred embodiments, the leaning manager tracksthe tradeable object that is being “leaned on” by the trading tools inan effort to coordinate their actions. In addition, the leaning managermay limit the trading tools from leaning on the same tradeable object intheir trading strategy formulations. As described below with referenceto the figures, if more than one automated or semi-automated tradingtool is leaning on the same tradeable object, then the leaning managermay coordinate such action by allocating the desired quantities amongstthe trading tools. Then, for example, the trading tools can use theallocated quantities and their prices in more precisely formulatingtheir trading strategies.

In the following description, for purposes of explanation, specificexamples are set forth to provide some working illustrations of variousembodiments. More specifically, these examples use an autospreader,which is an automated spread trading tool. For more details regardingthe operation of the autospreader, please refer to U.S. patentapplication Ser. No. 10/137,979, entitled, “A System and Method forPerforming Automatic Spread Trading” the content of which isincorporated by reference herein. By way of illustration, an example ofanother automated tool is the autotrader, which is, described in U.S.patent application Ser. No. 10/284,584, entitled, “System and Method forAutomated Trading” the content of which is incorporated by referenceherein. However, it will be apparent to one skilled in the art thatthese specific details are not required to practice the presentinvention.

These embodiments, and others described in greater detail herein,whether used individually or collectively, provide the trader with theability to fine tune their trading strategies according to otherrelevant and important factors, in addition to just the current marketconditions. There are many other systems, methods, features, andadvantages of the present embodiments will be or become apparent to onewith skill in the art upon examination of the following drawings anddescription. It is intended that all such additional systems, methods,features, and advantages be within the scope of the present invention,and be protected by the accompanying claims.

II. System Architecture

A. Computer System

As will be appreciated by one of ordinary skill in the art, theembodiments may be operated in an entirely software environment, in anentirely hardware environment, or in a combination thereof. For example,in a software environment, the embodiments may take the form of acomputer program product that is stored on a computer readable storagemedium and is executed by a suitable instruction execution system. Anysuitable computer readable storage medium may be utilized including harddisks, CD-ROMs, optical storage devices, or magnetic storage devices,for example. In a hardware environment, the preferred embodiments may beimplemented using any technology or hardware components such asapplication specific integrated circuits (ASICs).

With reference to FIG. 1, computer device 100 preferably includes, amongother things, at least a processor and a storage mechanism (both ofwhich are not shown in the figure, but are well-known computercomponents) for storing and performing the functions described herein.Computer device 100 is illustrated in FIG. 1 to have layers that areintended to define different program modules that may be used toimplement the functions described herein. As shown in FIG. 1, from thebottom layer to the top layer, the layers include hardware layer 106,operating system 104, leaning manager 102 and one or more trading tools108. In addition, computer device 100 may operate in a networkedenvironment using logical connections and intermediary devices, such asgateways, to one or more electronic exchanges generally indicated as110. For purposes of illustrating aspects of the preferred embodiments,intermediary devices have been left out of the figure.

Those skilled in the art will appreciate that the present invention maybe practiced with other computer system configurations, includinghand-held devices, multiprocessor systems, microprocessor-based orprogrammable consumer electronics, minicomputers, mainframe computers,and so on. In addition, the present invention may be practiced indistributed computing environments where tasks are performed by remoteprocessing devices that are linked through a communications network.

Hardware layer 106 may include special programs or drivers to interfaceperipheral input devices with operating system 104. In particular,hardware layer 106 may translate between electrical signals generated byan input device (examples are not shown in the figure) and theprogramming languages of operating system 104. Input devices may includea mouse, keyboard, game pad, virtual glove, joystick, or trackball, forexample. In addition, hardware layer 106 may include a networkconnection interface that will allow computer device 100 to link to oneor more of the electronic exchanges 110 through one or more networks.

For sake of illustration, a network represents a group of computersand/or associated devices that are connected by communications medium orfacilities. A network can be as small as a LAN (local area network)consisting of a few computers, printers, and/or other devices, or it canconsist of many small and large computers distributed over a vastgeographic area (WAN or wide area network), or it can consist of bothtypes of networks (both LAN and WAN). There are many different types ofnetworks, combinations of network types, and network environments knownin the art that can be used to link computer device 100 to electronicexchange 110. Such networking environments are commonplace in homes,offices, enterprise-wide computer networks, intranets, and the Internet,for example. Intermediate computer devices such as gateways (not shown)may be used to receive market information from one or more of theelectronic exchanges 110 and convert the market information to a formatcompatible with the protocols used by computer device 100, andvice-versa, using conversion techniques known in the art.

Operating system 104 may be used to manage hardware layer 106 and thesoftware resources of computer device 100. General functions ofoperating system 104 might include processor management, memorymanagement, device management, storage management, applicationinterface, and user interface. Any type of operating system 104 may beused to implement the present embodiments, and examples of commonoperating systems include Microsoft Windows family of operating systems,the UNIX family of operating systems, and the Macintosh operatingsystems. However, it will be recognized by those of ordinary skill inthe art that the added complexity of an operating system may not benecessary to perform the functions herein. For example, an operatingsystem may not be needed if the present embodiments were implemented inhardware using, for example, hardware components such as ASICs.

Leaning manager 102 is preferably a software application that interfaceswith operating system 104 to coordinate automated or semi-automatedtrading tools. Leaning manager 102 is preferably implemented by using aC or C++ based software program, though other suitable program languagescan be utilized such as Java. Leaning manager 102 may be configured towork with any type of automated or semi-automated trading tool 108 toprovide the functionality described herein.

In an alternative embodiment, functions of leaning manager 102 may beintegrated into the software application of trading tool 108 (thisintegration is not shown). Also, functions of the leaning manager 102may be implemented at an intermediary device such as a gateway tocoordinate a broad range of trading tools running on computer devicesconnected thereto (also not shown).

Leaning manager 102 may be stored in a computer program product andloaded into computer device 100 using a removable storage drive, a harddrive, or a communications interface such as a serial port or USBconnection. Alternatively, the computer program product may bedownloaded to computer device 100 over a network. The leaning manager102, when executed by the processor, causes the processor to perform thefunctions of the invention as described herein.

B. Accessing an Electronic Exchange

By way of illustration, an electronic exchange is a central marketplacewith established rules and regulations where buyers and sellers meet totrade. Electronic exchanges operate by an electronic ortelecommunications network instead of a traditional trading floor tofacilitate trading in an efficient, versatile, anonymous, andfunctionally rich way. Electronic exchanges are generally based oncomputers that perform, among other things, order matching, maintainingorder books and positions, and price information. Some examples ofelectronic exchanges include the London International Financial Futuresand Options Exchange (LIFFE), the Chicago Board of Trade (CBOT), theChicago Mercantile Exchange (CME), the Exchange Electronic Trading(Xetra, a German stock exchange), and the European Exchange (Eurex).Electronic exchanges might also refer to other software and/or hardwarebased facilities, which include basic to complex systems thatautomatically match incoming orders.

Each of the electronic exchanges 110 may host one or more electronicmarkets 112 and 114 such that each electronic market provides a place totrade a tradeable object. For example, the Chicago Mercantile Exchangeis the electronic exchange, the S&P 500 pit would be known as theelectronic market, and the S&P 500's themselves are the tradableobjects. As used herein, the term “tradable objects,” refers simply toanything that can be traded with a quantity and/or price. It includes,but is not limited to, all types of tradable objects such as financialproducts, which can include, for example, stocks, options, bonds,futures, currency, and warrants, as well as funds, derivatives andcollections of the foregoing, and all types of commodities, such asgrains, energy, and metals. The tradable object may be “real,” such asproducts that are listed by an exchange for trading, or “synthetic,”such as a combination of real products that is created by the user. Atradable object could actually be a combination of other tradableobjects, such as a class of tradable objects.

Each of the electronic markets 112, 114 may provide similar types ofmarket information to computer device 100. At the very least, marketinformation preferably includes data that represents the inside market.The inside market is the lowest sell price (best ask) and the highestbuy price (best bid) available in the market. Market information mayalso include market depth. As used herein, market depth refers toquantities available at the inside market and can refer to quantitiesavailable at other price levels above or below the inside market. Thequantity available at a given price level is usually provided by theelectronic markets in aggregate sums, although the present embodimentsmay also work with market information feeds that provide discrete orderinformation. The extent of the market depth available to a traderusually depends on the electronic exchange. For instance, someelectronic exchanges provide market depth for all (or most) pricelevels, while some provide only quantities associated with the insidemarket, and others may provide no market depth at all. Additionally,electronic exchanges 110 can offer other types of market informationsuch as the last traded price (LTP), the last traded quantity (LTQ), andorder fill information

Computer device 100 may interface with one or more electronic exchanges110 in a networked environment to receive market information for one ormore tradeable objects, and according to this example, for “TradeableObject 1” through “Tradeable Object N.” Therefore, computer device 100can receive market information for those tradeable objects being tradedon that electronic exchange. As shown in FIG. 1, computer device 100 canlog on and off one or more electronic exchanges 110, subscribe to theservice that will send market information, and then participate intrading any number of tradable objects.

II. System Function

Leaning manager 102 may be executed upon command by loading the machinecode of the program into memory and then performing the instructions.The command may be given at any time by any event, such as for example,by opening of a trading tool or by a user manually selecting an option.As such, according to one embodiment, leaning manager 102 may generate acollection of records for use in storing certain pieces of informationthat are relevant in performing the functions described herein. Therecords may consist of tables in a relational database managementsystem. In an alternative embodiment, the records could consist of anytype of data structure to provide an organizational scheme. It should beunderstood that this is one embodiment for carrying out the functionsdescribed herein, and that the present invention is not limited to thisparticular embodiment.

A. Market Information Table

In an embodiment, when market information is received for a particulartradeable object that is being leaned on, leaning manager 102 generatesa market information table. FIG. 2 shows an example market informationtable, generally indicated as 200, which may be used to store marketinformation for a particular tradeable object. Table 200 may begenerated for each tradeable object separately, or alternatively, onetable may service more than one tradeable object given that an extracolumn is added to distinguish the tradeable objects.

Table 200 is representative of a table storage arrangement comprisingrows 202 and columns 204. Rows 202 define price levels for orders tobuy/sell the tradeable object and columns 204 show different items ofinterest that are associated with the price levels. The number of rows202 may depend on the level of market depth that is provided by anelectronic market in their data feed. The number of columns 204 may beincreased or decreased, depending on the desired functionality. Forexample, if the market information table is programmed to collect marketinformation for both the buy side and the sell side of the market, thenanother column may be added to table 200 to indicate if the price levelcorresponds to a bid or an offer. In another example, a column may beadded to store priority information, which could be used to prioritizethe reservation requests.

As shown in the drawing, table 200 includes four columns, a “PriceLevel” column, an “Available Quantity” column, a “Reserved Quantity”column, and a “Reserved Ids” column. The price level column indicatesthe prices for which orders are resting in a market. In other words,they represent prices in the market's order book. The available quantitycolumn indicates the quantities available at those prices. The reservedquantity column provides a listing of the quantities that are reservedby (or allocated to) the trading tools. According to one embodiment, thevalue in the reserved quantity column may not exceed the value in theavailable quantity column. Alternatively, the value in the reservedquantity column may exceed the value in the available quantity columnif, for example, the leaning manager 102 is programmed to allow tradingtools to reserve potential future quantities or the leaning manager 102is programmed to allow some overlap of reservations. The reserved Idscolumn indicates the trading tools that are presently reserving quantityto lean on. That is, if a trading tool is reserving a quantity at aparticular price level, the ID (identification label) of that tradingtool is placed in the reserved Ids column. Note that each trading toolreceives an ID, more of which is described below.

B. Populating Portions of a Market Information Table

In one embodiment, as market information is received, informationpertaining to orders in the market order book are used to populate theprice level and available quantity columns in table 200. Marketinformation may arrive in various types of message formats, depending onthe electronic exchange and their specification. Examples of messagetypes may include best buy and/or best sell price messages, messagesthat indicate quantity modifications at the best prices, messages thatindicate quantity modifications to other prices besides the best prices,status messages, opening price messages, and so forth. Regardless of howthe market information is received or what format is used, leaningmanager 102 preferably acts upon the market information by extractingout the available quantity and price information, and then stores therelevant information in table 200. As new market information isreceived, the contents of table 200 are preferably updated.

C. Request Table

Trading tools that wish to lean on a particular tradeable object maymake a request for a particular quantity. In one embodiment, when arequest to reserve quantity is received for a particular tradeableobject, leaning manager 102 generates a request table. FIG. 3 shows asample table 300 that may be used to store requests for quantity of aparticular tradeable object. As shown in FIG. 3, table 300 represents atable storage arrangement comprising rows 302 and columns 304. Rows 302define request IDs for trading tools that are requesting an associatedquantity for a tradeable object. According to table 300, the “RequestID” column provides the identification of the trading tool performingthe request and “Requested Quantity” column provides the amount that isrequested. A request table may be generated for each tradeable objectseparately, or alternatively, one table may service more than onetradeable object giving that an extra column is added to distinguish thetradeable objects. Of course, it should also be recognized that requesttable may be integrated into table 200, if so desired.

D. Populating Portions of a Request Table

As previously described, computer device 100 might be running anautomated or semi-automated trading tool. Preferably, a user can operateas many “sessions” of the automated tool as necessary to achieve his orher trading strategy. Thus, for example, if a trader wishes to use anautomatic spread trading tool, he/she might select one or more tradeableobjects in order for the automatic spread trading tool to generate asynthetic tradeable object. Preferably, the trader can do this again,therefore having the automatic spread trading tool generate a secondsynthetic tradeable object. The trader may do this repeatedly. Each timethis happens, the trader is preferably starting a new session with theautomatic spread trading tool. In addition, computer device 100 might berunning other types of automated or semi-automated trading tools.Similar to the automatic spread trading tool above, multiple “sessions”of the trading tools may be run and coordinated by the leaning manager102. Moreover, a group of traders might be running one or more differentkinds of trading tools, in which, leaning manager 102 may be programmedto coordinate the trading tools amongst the group.

In one embodiment, a session may be initiated by the submission of oneorder, and as such, when a second order is submitted, then a second“session” is initiated. For example, if a trader is using a particulartrading tool and he attempts to buy a spread, then a first session isinitiated. If the trader, using the same trading tool, attempts to buythe same spread again, then a second session is preferably initiated.Accordingly, a particular trading tool is made “aware” of its own ordersand the tradeable objects that are being leaned on, so as to reduce thelikelihood of overbuying or overselling them.

In one embodiment, each session is assigned an ID or identification thatuniquely identifies the session to the leaning manager 102. When asession requests a quantity for use in executing its programmed tradingstrategy, it may do so by sending a message to leaning manager 102requesting a certain quantity of the tradeable object. In response,leaning manager 102 may populate table 300 to record the request.Preferably, leaning manager 102 records the request in first come, firstserve (FIFO) basis and prioritizes the requests in that order.Alternatively, other types of priority schemes may be used in place of aFIFO system such as a pro-rata system, which is described more below.

D. Example Process of Leaning on a Tradeable Object

In a preferred embodiment, if data is changed in table 300, then thechange is reflected in table 200. In other words, when a request isadded, the request is translated into a reserved quantity along with itsID in table 200. Sessions may continue to request quantity, and leaningmanager 102 may continue to make the reservations for availablequantities. In one embodiment, leaning manager 102 receives requests andmakes reservations one session at a time.

In addition, leaning manager 102 preferably sends a message back to thesession indicating the best price for which quantity is currentlyavailable (and not reserved or allocated out). Thus, for example, asession may need a certain quantity to implement its trading strategyand can request this amount from leaning manager 102. Essentially, thesession is asking leaning manager 102 “At what price can I get thisquantity for?” The request is entered into request table 300. Then,leaning manager 102 checks table 200 for the available quantities,preferably starting at the best prices, and responds to the session.Sometimes, leaning manager 102 has to look to multiple prices to filllarge requests. If the session accepts the price or prices (e.g., at anaverage price), then it notifies leaning manager 102 to reserve thequantity. At which point, leaning manager 102 reserves the quantity andindicates it in reserved quantity column in table 200.

In an alternative embodiment, leaning manager 102 may use a pro ratasystem for allocating quantities to trading tools in a pro rata fashion.For example, when a first session requests quantity, the system couldallocate the quantity to the session at the best prices. When a secondsession requests quantity, the system could reallocate a portion of thequantities at the best prices to the first session and could allocateanother portion of the quantities at the best prices to the secondsession. Therefore, each session would have proportionate participationat the best prices. The system could use a price average mechanism foraveraging out the prices if more than one market depth level is neededto satisfy the sessions' requests, and these prices may be used by thesessions in their trading strategy formulation.

Sometimes, the market may change (e.g., prices and quantities). If anavailable quantity changes to an amount that cannot satisfy the currentreservation(s), then leaning manager 102 may notify the appropriatesessions of the change. The sessions may respond by making new requestsand ultimately new reservations, if so desired.

In addition, there are some instances when the conditions in the marketchange, but the changes do not necessarily affect the actual price thatwas previously communicated to a session. Thus, to reduce the amount ofcommunication, leaning manager 102 may be programmed to only notify asession when a change occurs to the price (or some other item ofinterest). So, for example, if quantities moved around in a particularmarket, but the average price remained the same, the session that isusing the average price would not be notified.

Moreover, there are some instances when a leaning manager 102 mayautomatically move a reservation and notify the relevant session(s) ofthe move. For example, if a trader changes the priority of thereservation, then leaning manager 102 may move the reservation of one ormore sessions and notify them accordingly to accommodate the change inpriority. Of course, this is one example and leaning manager 102 mightbe programmed do this for any reason. This feature, like any featuredescribed herein unless otherwise noted, may be programmed to turn on oroff.

E. Example Process of Allocating Quantity

There are many ways to go about programming leaning manager 102, andeach way depends on the desired functionality sought by the trader. Toassist in understanding aspects of the present embodiments, someexamples of how the leaning manager may be programmed are outlineddirectly below.

If so desired, a user programmable interface may be provided, and mayinclude any type of interface that allows the user to communicate withthe leaning manager 102. One example of a user programmable interface isa command-driven interface. Another example of a user programmableinterface is a graphical user interface that takes advantage of computergraphics. The graphical user interface may include one or more windowsthat can be moved around the display screen, and their size and shapecan be changed at will. A window might include icons that representcommands, files, or more windows. Of course, the present invention canuse other types of user programmable interfaces, or alternatively, thepresent invention does not utilize a programmable interface of this typeat all (e.g., hard-coded program, etc.).

In one embodiment, leaning manager 102 is programmed so that quantity isallocated to sessions on a first come, first serve basis. So, if acertain quantity is available at a desired price, the quantity will beallocated to those sessions that requested it first. For example, thefirst session to request quantity would reserve the quantity at the bestprice, and the second session to request quantity would reserve thequantity at the next best price, and so on. By allocating quantity inthis manner, it can better assure that the session will get at least theprice of the quantity it reserved or better, when a trade for thereserved quantity actually occurs. Therefore, in implementing a tradingstrategy, a session can count on the price given to it by leaningmanager 102 and use it in its strategy formulation.

In another embodiment, leaning manager 102 may be programmed toaccommodate other priority arrangements, such as basing the priority ona pro-rata configuration, basing it on the trading strategy, basing iton the software tool, basing it on the trader, and so on. Differenttypes of priority schemes may be programmed into leaning manager 102 toachieve a desired result.

In one embodiment, when an event occurs, and a session wants to buy orsell the reserved quantity, it may do so. If the sessions act upon thequantities in the same manner as they were reserved, then each sessionmay anticipate getting the quantity at the price it was reserved (unlessa third party came along and took the quantity, however, in this case,leaning manager 102 would notify the sessions and each would preferablyupdate their strategies accordingly).

Sometimes, however, the first session to request the quantity is not thefirst session to act upon it. Therefore, in one embodiment, leaningmanager 102 may be programmed to allow the session that acts first totake the quantity at the best price. In other words, leaning manager 102may operate on a first come, first serve basis for sessions ready tofire an order to a market. In doing so, leaning manager 102 may helpassure that those sessions that need the quantity the most get thequantity at a price most desirable to the trader. Keep in mind that notevery session may act upon its reserved quantity, and accordingly, thisembodiment allows those that act first, get the quantity at the bestprices. As a result, leaning manger 102 may notify the other sessions ofthe change. The sessions may respond by making new requests andultimately new reservations. In other words, the sessions may use thisinformation to adjust their trading strategy.

III. Example Implementation

As previously mentioned, there are many scenarios where a tradingstrategy may be watching or leaning on a product's available quantitiesand prices and plan to buy them as soon as a certain event occurs. Anexample of this activity may be seen in spreading.

FIG. 4 is an illustration outlining two particular spread tradingstrategies. To assist the trader in executing the spread tradingstrategies, she has initiated two sessions on an automated spreadtrading tool. One session is working product A and product B to achieveor attempt to achieve spread 400, while the other session is workingproduct C and product B to achieve or attempt to achieve spread 402.According to a preferred embodiment, leaning manager 102 assigns eachsession an ID (identification); the session that refers to spread 400may be identified as “session A” and the session that refers to spread402 may be identified as “session B.” It should be understood that anytype of ID or label might be used to identify the sessions.

With respect to spread 400, assume that “session A” is attempting to buyspread 400 by buying product A and selling product B. To do this,“session A” might send an order to buy product A, and once that order isfilled, it would send an offsetting order to sell product B, thereforecompleting spread 400. Ordinarily, “session A” may use marketinformation from product B to determine where to price the order forproduct A. That way, when the order for product A is filled, “session A”may immediately fire an offsetting order to buy product B at marketprice or some other designated price point to achieve or attempt toachieve the spread. In this example, assume that “session A” is leaningon the bid quantity of “85” of product B. Referring briefly to FIG. 6,“session A” puts in a request to lean on “85” of product B. In otherwords, it is asking leaning manager 102 “At what price can I sell ‘85’of product B?”

With respect to spread 402, assume that “session B” is attempting to buyspread 402 by buying product C and selling product B. To do this,“session B” might send an order to buy product C, and once that order isfilled, it would send an offsetting order to sell product B, thereforecompleting spread 402. “Session B” may use market information fromproduct B to determine where to price the order for product C. In thisexample, “session B” is leaning on the bid quantity of “50” of productB. Referring briefly to FIG. 6, “session B” puts in a request to lean on“50” of product B. In other words, it is asking leaning manager 102 “Atwhat price can I sell ‘50’ of product B?”

FIG. 5 shows a market information table 500 for the buy side of productB. Note that table 500 may also contain information for the sell side ofproduct B, but has been left out for clarity in illustrating thisparticular working example. As such, leaning manager 102 receives andpopulates table 500 with current market information for product B. Inthis example, the electronic market provides five price levels ofquantity, and currently, the “115” at “50” is the best bid for productB. Keep in mind that the market information in table 500 is preferablyupdated as new market information is received.

In response to the “session A” request, leaning manager 102 sends anotice to “session A” that “85” is available at “50.” In other words,there are enough buyers (or buyer) such that “session A” could sell “85”at a price of “50.” “Session A” may respond to leaning manager 102 byreserving the “85.” Referring to table 500 in FIG. 6, leaning manager102 marks the reservation. This indicates that “session A” has reserved“85” at a price of “50,” and it may use this information to calculatewhere to price the order for product A, for example.

In response to the “session B” request, leaning manager 102 sends anotice to “session B” that “50” is available at “50” and “49.” In otherwords, “session B” could sell “30” at a price of “50” and “20” at aprice of “49.” “Session B” may respond by reserving the “30” at a priceof “50” and “20 ” at a price of “49,” and it may use this information tocalculate where to price the order for product C, for example. Referringagain to table 500 in FIG. 6, leaning manager 102 marks the reservationas such.

FIG. 8 shows the market conditions have changed and now only “75” isavailable at “50.” Preferably, leaning manager 102 notifies “session A”and “session B” of the change. In response to the notification, “sessionA” reserves “10” at a price of “49” in addition to its “75” at “50.”Note that “session B” loses its reserved quantity at a price “50” as itwas second in line behind “session A.” To make up this lost quantity,“session B” may request more quantity at “49,” which it does in thisexample. Both sessions may update their trading strategies to accountfor the market change. Leaning manager 102 may continue to coordinatewith the sessions in response to market changes.

Now, let us assume that the order to buy product C was filled and“session B” sent an offsetting order to sell “50” of product B.According to a preferred embodiment, leaning manager 102 allows “sessionB” to get “50” at the better price of “50,” instead of forcing “sessionB” to get “50” at the reserved price of “49.” This programmed featureallows the trader to get a better price for spread 402 than expected. Asa result, leaning manager 102 notifies “session A” of the market changeOust as if an ordinary market change occurred). “Session A” can updateits trading strategy accordingly. FIG. 8 shows the updated marketconditions taking into account the selling of “50” of product B at aprice of “50.” Also, table 500 in FIG. 9 shows the updated reservationsfor “session A.” According to table 500 in FIG. 9, “session A” now has“25” reserved at a price of “50,” and “90” reserved at a price of “49.”

The working illustrations directly above show an example implementationof a preferred embodiment. In particular, the working illustrations setforth some of the functionality that may be programmed into leaningmanager 102. An advantage of the leaning manager 102 is its flexibilityin being programmed to account for any situation or provide any desiredresult in coordinating the buying and/or selling of tradeable objects.In fact, one skilled in the art will appreciate the flexibility offeredby leaning manager 102 to coordinate the buying and selling of tradeableobjects in any desired fashion.

IV. Conclusion

The present embodiments include methods, systems, and computer programproducts that provide tools for use in electronic trading. The presentembodiments allow a computer device, such as a trader's workstation or agateway, to track and/or coordinate the buying and selling of tradeableobjects. They provide an efficient way for multiple automated orsemi-automated trading tools to track and/or coordinate their actions.This tracking and/or coordination may be used to enhance the tradingstrategies of each session.

Coordination may occur by any mechanism. According to one embodiment,the trading tools coordinate their actions using a reservation system,although any other organizational scheme may be used to facilitatecoordination amongst a variety of trading tools. Regardless of themechanism used in coordinating such activity, the present embodimentsremain a flexible solution as they give a trader or an administrator,for example, the ability to program the coordination in any way thatsuits their particular needs.

It should also understood that the programs, processes, methods andsystems utilized or described herein are not related or limited to anyparticular type of electronic trading environment or trading tools,unless indicated otherwise. In view of the wide variety of embodimentsto which the principles of the present embodiments can be applied, itshould be understood that the illustrated embodiments are examples only,and should not be taken as limiting the scope of the present invention.For example, more or fewer data attributes may be stored in the tablesto accommodate various trading strategies.

The claims should not be read as limited to the described order orelements unless stated to that effect. All embodiments that come withinthe scope and spirit of the following claims and equivalents thereto areclaimed as the invention.

1. A method for implementing an automated trading strategy relating to atradable object being traded in an electronic exchange, the methodcomprising: electronically establishing a first automated tradingstrategy based on a first tradable object and a second tradable object,the first automated trading strategy generating a first order for thesecond tradable object, wherein a price of the first order is based upona first estimated price for the first tradable object; electronicallyestablishing a second automated trading strategy based on the firsttradable object and a third tradable object, the second automatedtrading strategy generating a second order for the third tradableobject, wherein a price of the second order is based upon a secondestimated price for the first tradable object; electronically receivingmarket information for the first tradable object from an electronicexchange, the market information comprising order quantities availableto buy or sell the first tradable object at a plurality of price levels;electronically calculating the first estimated price based on the orderquantities in the received market information for a first order quantityof the first tradable object; taking a first action of the firstautomated trading strategy based on the first estimated price, whereinthe first action comprises electronically sending the first order by thefirst automated trading strategy to an electronic exchange;electronically calculating the second estimated price based on the orderquantities in the received market information for the first tradableobject, an allocation of the first order quantity at the first estimatedprice, and further based on a second order quantity; and electronicallytaking a second action of the second automated trading strategy based onthe second estimated price, wherein the second action comprises sendingthe second order by the second automated trading strategy to anelectronic exchange.
 2. The method of claim 1 wherein the second orderhas a price that is calculated based on the second estimated price and aratio.
 3. The method of claim 2 further comprising the step of:detecting a fill of the first order, and in response, sending an offsetorder to buy or sell the first tradeable object; and detecting a fill ofthe second order, and in response, sending an offset order to buy orsell the third tradeable object.
 4. The method of claim 3 wherein theoffset order sent in response to the fill of the first order has a pricethat is equal or substantially equal to the first estimated price; andwherein the offset order sent in response to the fill of the secondorder has a price that is equal or substantially equal to the secondestimated price.
 5. The method of claim 1 wherein the step ofcalculating the second estimated price which is based on the firstspecific quantity is performed by reducing an available quantity of thefirst tradeable object based on the first quantity.
 6. The method ofclaim 1 further comprising the step of recalculating the first estimatedprice and the second estimated price when market conditions change. 7.The method of claim 1 further comprising the step of recalculating thefirst estimated price and the second estimated price when an eventoccurs that is different that a change in market conditions.
 8. Themethod of claim 7 wherein the event comprises a change in priority,wherein the event comprises canceling one of the first and secondautomated trading strategies, or wherein the event comprises a thirdautomated trading strategy calculating a third estimated price.
 9. Themethod of claim 1 wherein the first automated trading strategy and thesecond trading strategy are trading strategies associated with onetrader.
 10. The method of claim 1 wherein the first automated tradingstrategy is associated with a first trader and the second tradingstrategy is associated with a second trader that is different from thefirst trader.
 11. A computer readable medium having program coderecorded thereon for causing a microprocessor to execute the method ofclaim
 1. 12. The method of claim 1, wherein the second tradeable objectand the third tradeable object are the same tradeable object.
 13. Themethod of claim 1, wherein the second tradeable object and the thirdtradeable object are different tradeable objects.
 14. A computer-basedmethod for coordinating trading tools that are used to trade tradableobjects in an electronic trading environment, the method comprising:electronically receiving market information related to a tradable objectfrom the electronic exchange, the market information comprising orderquantities available for the tradable object at a plurality of pricelevels; electronically receiving a first request from a first tradingtool, wherein the first request represents a willingness to lean on atradable object in executing a first trading strategy comprising a firstorder to buy or sell a first order quantity of the tradable object;electronically allocating the first order quantity at a first availableprice level for the tradable object associated with the first request tothe first trading tool based on the electronically received orderquantities available at the plurality of price levels, wherein theallocated first order quantity at the first available price level forthe tradable object is used by the first trading tool in electronicallyformulating a first estimated price for the first order; electronicallyreceiving a second request from a second trading tool, wherein thesecond request represents a willingness to lean on the tradable objectin executing a second trading strategy comprising a second order to buyor sell a second order quantity of the tradable object; and based on theallocation of the first order quantity at the first price level and thereceived order quantities available at the plurality of price levels,electronically allocating the second order quantity at a secondavailable price level for the tradable object associated with the secondrequest to the second trading tool, wherein the allocated second orderquantity at the second available price level for the tradable object isused by the second trading tool in electronically formulating a secondestimated price for the second order.
 15. The method of claim 14 whereinthe first trading strategy is further based on a second tradeableobject, the method further comprising: calculating a price for an orderfor the second tradeable object based on the first estimated price forthe first order; sending the order for the second tradeable object to anelectronic exchange; wherein the second trading strategy is furtherbased on a third tradeable object, the method further comprising:calculating a price for an order for the third tradeable object based onthe second estimated price for the second order; and sending the orderfor the third tradeable object to an electronic exchange.
 16. The methodof claim 15 further comprises: sending the first order for the tradeableobject when the order for the second tradeable object is filled; andsending the second order for the tradeable object when the order for thethird tradeable object is filled.
 17. The method of claim 16, whereinthe second tradeable object and the third tradeable object are the sametradeable object.
 18. The method of claim 16, wherein the secondtradeable object and the third tradeable object are different tradeableobjects.
 19. The method of claim 14 wherein the first trading strategyand the second trading strategy comprise sessions of a trading tool. 20.A computer readable medium having program code recorded thereon forcausing a microprocessor to execute the method of claim 14.